Do not download it, since your Axim already has all the updates. Only download service packs and updates from the support site at dell, not microsoft. You'll have to perform a hard reset if you install anything from microsofts site.
So to answer your quesitons.
1) No you don't need it since you already have SP3 installed
2) Check out
http://support.dell.com/ to see if any new updates are there.
The only one they have is for the D-Pad which was pulled last time I looked. There are not many updates to Pocket PC OS so don't expect to see any soon other than Dell Axim specific solutions. Pocket PC 2003 will be out soon so I doubt there will be another Service Pack for 2002, but I could be mistaken.
Either way only download system updates form Dells site.